Reading Comics #95 "The Annotated Sandman Volume 1 #4"

(via vertigocomics.com)

Well, you gave it your best shot, Neil, but as of The Sandman #4 it all goes to hell.

Ha!  Well, have to try and be funny every now again.  In all seriousness, Morpheus does in fact go to Hell so he can reclaim his helm, the visual link between this incarnation of Sandman and the original Golden Age superhero (the one with the gas mask).  You might think the issue is Etrigan-heavy, but Jack Kirby's Demon is only featured for a few pages.  Otherwise this may be the biggest indication in the series so far that it's not going to be just another horror or DC comic.  

Leslie S. Klinger makes a lot of his opportunity to annotate the issue by drawing from Gaiman's original script, giving his readers a chance to read the original scripting thoughts on what Hell should look like, which as it turns our are not always exactly followed.  There are some pretty seedy things going through Gaiman's head as he envisions territory previously explored by Dante (and Bill & Ted).  

There are three rulers of this Hell, the first of them Lucifer (who would later receive a spin-off series, believe it or not), and the others Beelzebub (who is also Lord of the Flies, and as such is depicted as a fly) and Azazel.  No Neron (featured in DC's 1995 event Underworld Unleashed), then.  Lucifer is the star of the triumvirate, though, while Klinger also makes reference to the greater significance and later appearances of Nada, glimpsed on page seven.  As explained by Klinger, Gaiman also includes a classic riddle challenge for Morpheus to handle, which may be familiar to anyone who's enjoyed Peter Jackson's The Hobbit: An Unexpected Journey, in which Gollum exhibits an entirely new way to captivate audiences (which of course was also in the book).

Curiously, the issue is followed by the same note included in Klinger's introduction, Gaiman's explanation of the series' origins that was originally printed in the letters column of Sandman #4.